On the small-time behaviour of Lévy-type processes

Research output: Contribution to journal › Research article › Contributed › peer-review

Contributors

  • Victoria Knopova - , NASU - Glushkov Institute of Cybernetics, TUD Dresden University of Technology (Author)
  • René L. Schilling - , Chair of Probability Theory (Author)

Abstract

We show some Chung-type lim inf law of the iterated logarithm results at zero for a class of (pure-jump) Feller or Lévy-type processes. This class includes all Lévy processes. The norming function is given in terms of the symbol of the infinitesimal generator of the process. In the Lévy case, the symbol coincides with the characteristic exponent.

Details

Original languageEnglish
Pages (from-to)2249-2265
Number of pages17
JournalStochastic processes and their applications
Volume124
Issue number6
Publication statusPublished - Jun 2014
Peer-reviewedYes

Keywords

ASJC Scopus subject areas

Keywords

  • Feller process, Law of the iterated logarithm, Lévy process, Lévy-type process, Pseudo differential operator, Small-time asymptotic, Stochastic differential equation, Symbol